1、本科毕业论文外文翻译 外文题目： Transmission of Stock Returns and Volatility Between the U.S. and Japan: Evidence from the Stock Index Futures Markets 出 处： International Journal of Bank Marketing 作 者： MING-SHIUN PAN and L. PAUL HSUEH 原 文 Transmission of Stock Returns and Volatility Between the U.S. and Japan: Evid
2、ence from the Stock Index Futures Markets MING-SHIUN PAN and L. PAUL HSUEH 一 Abstract. In this paper, we examine the nature of transmission of stock returns and volatility between the U.S. and Japanese stock markets using futures prices on the S&P 500 and Nikkei 225 stock indexes. We use stock index
3、 futures prices to mitigate the stale quote problem found in the spot index prices and to obtain more robust results. By employing a two-step GARCH approach, we find that there are unidirectional contemporaneous return and volatility spillovers from the U.S. to Japan. Furthermore, the U.S.s influenc
4、e on Japan in returns is approximately four times as large as the other way around. Finally, our results show no significant lagged spillover effects in both returns and volatility from the Osaka market to the Chicago market, while a significant lagged volatility spillover is observed from the U.S.
5、to Japan. 二 Introduction The economies of different countries are unavoidably interwoven through international trade and investment. It is therefore common belief that movements of stock prices across countries are correlated. Numerous studies have focused on this cross-border interdependence by exa
6、mining the nature of international transmission of stock returns and volatility. Errunza and Losq (1985), Eun and Shim (1989), and von Furstenberg and Jeon (1989) investigate the dynamics of international stock price movements, and find significant cross-country interactions. The results from these
7、studies also indicate an important role played by the U.S. market in influencing other national markets. Since the information transmission between markets might be related through not only mean returns but also volatility (Ross, 1989), recent studies (e.g., Hamao, Masulis, and Ng (1990), King andWa
8、dhwani (1990), Theodossiou and Lee (1993), Bae and Karolyi (1994), and Susmel and Engle (1994), among others) have a focus on volatility spillovers for examining information transmission across national boundaries. In general, empirical evidence suggests that volatility of stock returns is time-vary
9、ing. Furthermore, significant mean and volatility spillovers are found 212 MING-SHIUN PAN AND L. PAUL HSUEH from the U.S. market to other national stock markets. Many studies, however, have also documented a time-varying spillover effect. For instance, Bae and Karolyi (1994) provide results showing
10、weaker volatility spillover effects between the U.S. and Japan after the October 1987 crash. Lin, Engle, and Ito (1994) also investigate spillover effects in return and volatility between the New York and Tokyo stock markets. In contrast to previous empirical evidence, they find little support for l
11、agged returns spillovers from New York daytime to Tokyo daytime or vice versa, suggesting that the domestic market adjusts efficiently to foreign information. Lin et al. (1994) attribute their findings partly to the fact that previous studies may have suffered from the nonsynchronous trading or stal
12、e quote problem at market openings, which is inherent in stock market indexes. The nonsynchronous trading problem arises when some of the component stocks in a stock index have delay in trading after the market opens. It is well known that nonsynchronous trading in individual securities can induce p
13、ositive autocorrelation at the index level (Scholes andWilliams, 1977). To attenuate this problem, Lin et al. (1994) use stock price indexes 30 and 15 minutes after the market opening in New York and Tokyo, respectively. Although the use of delayed price indexes might mitigate the stalequote problem
14、, it could well dilute the transmission effect from overseas markets. Specifically, Becker, Finnerty, and Tucker (1992) and Susmel and Engle (1994) document that spillover effects are quickly assimilated within the first hour trading. As a result, their finding suggests that stocks which traded at t
15、he open would have already incorporated information from overseas markets, and hence the price indexes 30 minutes into the trading likely reflect not only overseas information but also domestic information. In this study, we propose the use of stock index futures prices in examining the nature of tr
16、ansmission of stock returns and volatility between the U.S. and Japanese markets.1 The use of stock index futures prices has several obvious advantages. First, since the staleness problem for a stock index is mainly due to the nonsynchronous trading of its component stocks, nonsynchronous trading sh
17、ould be much less of a problem in index futures. For example, Boudoukh, Richardson, and Whitelaw (1994) document that serial correlations of stock index returns are significantly higher than those of index futures returns. In addition, they find that the autocorrelations for stock index futures retu
18、rns are insignificantly different from zero, suggesting that the use of stock index futures prices can provide acleaner test of international transmission of stock returns and volatility. Secondly, a number of studies (e.g., Stoll and Whaley, 1990； Chan, 1992； Kawaller, Koch, and Koch, 1993) have sh
19、own that price discovery takes place in stock index futures prices instead of the underlying spot indexes. Furthermore, Chan (1992) provides evidence showing that stock index futures lead the underlying spot indexes, and demonstrates that this lead-lag effect is not caused by nonsynchronous trading
20、in the spot index. Thus, the use of stock index futures prices in investigating information transmission between national markets should better capture the characteristics of interactions. The rest of the paper is organized as follows. In Section 2, we describe the intradaily stock index futures pri
21、ce data used in this study and present the empirical models. Section 3 reports the empirical findings on return and volatility spillover effects between the U.S. and Japanese markets. The final section concludes the paper. 三 Data and Empirical Design To examine the transmission of stock returns and
22、volatility between the U.S. and Japanese markets, we use the S&P 500 stock index futures contracts traded at the Chicago Mercantile Exchange (CME) and the Nikkei 225 stock index futures contracts traded at the Osaka Securities Exchange (OSE).2 Daily opening and closing futures prices on the S&P 500
23、and Nikkei 225 stock indexes for the period of January 3, 1989 through December 30, 1993 are used. The data are obtained from Futures Industry Institute. Both the S&P 500 and Nikkei 225 stock index futures contracts have a cycle of contract maturities of March, June, September, and December. To obta
24、in a long time-series data, only the 3-month data before expiration months are used. Due to different holidays, the data from the two markets are not synchronous, we thus delete the observations when the data are missing for any one of the two markets.3 Figure 1 depicts market trading hours for the
25、two markets. Returns on the stock index futures are calculated as the difference in the logarithmsn of futures prices multiplied by 100. We further divide daily index futures returns (close-to-close) into daytime returns (open-to-close) and overnight returns (previous close-to-open). Thus, daily clo
26、se-to-close returns on the S&P 500 (SPt ) and Nikkei 225 (NKt ) on the two stock index futures can be expressed as follows: Rt= RNt + RDt where (Rt, RNt , RDt ) 2 f(SPt , SPNt , SPDt ), (NKt , NKNt , NKDt )g and the notations are defined as in Figure 1. It is noticed that the two markets do not have overlapping trading time and also the daytime segment of each market is a subset of overnight segment of the other market. Therefore, it is reasonable to expect that what happened during the daytime trading in one market becomes important overnight news to the other market.
